PDE - second order (separation of variables) 4/4/2022

Solving Second Order Linear PDE using Separation of

Variables

Mathematics Section UniKL MFI

Norhayati Bakri

Second Order PDEs

Consider the general form of a second order linear

PDE in 2 variables with constant coefficients:

𝑎𝑢𝑥𝑥 + 𝑏𝑢𝑥𝑦 + 𝑐𝑢𝑦𝑦 + 𝑑𝑢𝑥 + 𝑒𝑢𝑦 + 𝑓𝑢 = 𝑔 𝑥, 𝑦

𝑎, 𝑏 and 𝑐 cannot be zero for the equation to be of

second order and they define a discriminant 𝑏2 − 4𝑎𝑐.
The properties and behavior of the equation are
dependent of its type.

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Classification of Second Order Linear PDEs

If 𝑏 2 − 4𝑎𝑐 > 0 : the equation is called hyperbolic.

ex: Wave equation: 𝑢𝑡𝑡 − 𝑢𝑥𝑥 = 0

If 𝑏 2 − 4𝑎𝑐 = 0 : the equation is called parabolic.

ex: Heat equation: 𝑢𝑡 = 𝑢𝑥𝑥

If 𝑏 2 − 4𝑎𝑐 < 0 : the equation is called elliptic.

ex: Laplace equation: 𝑢𝑥𝑥 + 𝑢𝑦𝑦 = 0

Example 1

Classify the following second order linear PDE

4𝑢𝑥𝑥 − 6𝑢𝑥𝑦 + 9𝑢𝑦𝑦 + 𝑢𝑥 + 𝑢𝑦 + 𝑢 = 0 elliptic

𝑏 2 − 4𝑎𝑐 = −6 2
− 4 4 9 = −108

9𝑢𝑥𝑥 = 𝑢𝑡𝑡 + 6𝑢𝑡

9𝑢𝑥𝑥 − 𝑢𝑡𝑡 − 6𝑢𝑡 = 0 parabolic

𝑏 2 − 4𝑎𝑐 = 0 2
− 4 9 −1 = 36

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Example 2
𝜕 2𝑢 𝜕 2𝑢
Consider the following Tricomi equation 𝑦 + =0
𝜕𝑥 2 𝜕𝑦 2
Determine whether the PDE is hyperbolic, parabolic or elliptic.

Answer: hyperbolic for 𝑦 < 0, parabolic for 𝑦 = 0, elliptic for 𝑦 > 0

Example 3

Determine whether the following second order linear PDE

is hyperbolic, parabolic or elliptic.
𝜕 2𝑢 𝜕 2𝑢
𝑦 + 𝑥 =0
𝜕𝑥 2 𝜕𝑦 2

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Separation of Variables
Technique for solving linear PDE (Wave equation, Heat
equation, Laplace equation)

• Suppose a solution of the form 𝑢 𝑥, 𝑡 = 𝑣 𝑥 𝑤 𝑡

• Use PDE to get ODE for 𝑣 and 𝑤

• Solve the ODE to get 𝑢𝜆 𝑥, 𝑡 = 𝑣𝜆 𝑥 𝑤𝜆 𝑡

• Use linearity and get 𝑢 𝑥, 𝑡 = σ𝜆 𝑢𝜆 𝑥, 𝑡

Solve initial value problems &
boundary cond

Wave equation: 𝑐 2 𝑢𝑥𝑥 = 𝑢𝑡𝑡

Obtain a general solution to the wave equation:

𝑐 2 𝑢𝑥𝑥 = 𝑢𝑡𝑡

Boundary conditions: 𝑢 0, 𝑡 = 𝑢 𝐿, 𝑡 = 0 , 𝑡>0

Initial condition: 𝑢 𝑥, 0 = 𝑓 𝑥 , 0<𝑥<𝐿

Initial velocity: 𝑢𝑡 𝑥, 0 = 𝑔 𝑥 , 0<𝑥<𝐿

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Suppose that the solution has the form:

𝑢 𝑥, 𝑡 = 𝑣 𝑥 𝑤 𝑡
Then:
𝑢𝑥 = 𝑣′ 𝑥 𝑤 𝑡 𝑢𝑥𝑥 = 𝑣′′ 𝑥 𝑤 𝑡
𝑢𝑡 = 𝑣 𝑥 𝑤′ 𝑡 𝑢𝑡𝑡 = 𝑣 𝑥 𝑤′′ 𝑡

Therefore, the wave equation: 𝑐 2 𝑢𝑥𝑥 = 𝑢𝑡𝑡

𝑐 2 𝑣′′ 𝑥 𝑤 𝑡 = 𝑣 𝑥 𝑤′′ 𝑡

𝑣′′ 𝑥 𝑤′′ 𝑡 Separation

We can rewrite: = 2 =𝜆
𝑣 𝑥 𝑐 𝑤 𝑡 constant

Both sides are independent of x and t

Solve the equations:

𝑣′′ 𝑥 𝑤′′ 𝑡
=𝜆 =𝜆
𝑣 𝑥 𝑐 2𝑤 𝑡

𝑣′′ 𝑥 = 𝜆𝑣 𝑥 𝑤′′ 𝑡 = 𝜆𝑐 2 𝑤 𝑡

𝑣′′ 𝑥 − 𝜆𝑣 𝑥 = 0 𝑤′′ 𝑡 − 𝜆𝑐 2 𝑤 𝑡 = 0

We have formed two ODEs

From: 𝑣′′ 𝑥 − 𝜆𝑣 𝑥 = 0 Let 𝜆 = 𝜔2

𝑣′′ 𝑥 − 𝜔2 𝑣 𝑥 = 0

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𝑣′′ 𝑥 − 𝜔2 𝑣 𝑥 = 0 𝜆 = 𝜔2
Case 1: 𝜆 = 0 𝑣′′ 𝑥 = 0
𝑚2 = 0 𝑚1 = 𝑚2 = 0
𝑣 𝑥 = 𝐴𝑥 + 𝐵 𝑒 0𝑥 𝑣 𝑥 = 𝐴𝑥 + 𝐵

Case 2: 𝜆 > 0 𝑣′′ 𝑥 = 𝜔2 𝑣 𝑥

𝑚2 = 𝜔2 𝑚1 = −𝜔, 𝑚2 = 𝜔
𝑣 𝑥 = 𝐴𝑒 −𝜔𝑥 + 𝐵𝑒 𝜔𝑥

Case 3: 𝜆 < 0 𝑣′′ 𝑥 = −𝜔2 𝑣 𝑥

𝑚2 = −𝜔2 𝑚 = ±𝑖𝜔
𝑣 𝑥 = 𝐴𝑐𝑜𝑠 𝜔𝑥 + 𝐵𝑠𝑖𝑛 𝜔𝑥
Where in all 3 cases, 𝐴 and 𝐵 are constants.

Boundary conditions: 𝑢 0, 𝑡 = 𝑢 𝐿, 𝑡 = 0 , 𝑡>0

Since 𝑢 𝑥, 𝑡 = 𝑣 𝑥 𝑤 𝑡 ignored

𝑢 0, 𝑡 = 0 ⟹ 𝑣 0 𝑤 𝑡 = 0 𝑣 0 = 0 𝑜𝑟 𝑤 𝑡 = 0

𝑢 𝐿, 𝑡 = 0 ⟹ 𝑣 𝐿 𝑤 𝑡 = 0 𝑣 𝐿 = 0 𝑜𝑟 𝑤 𝑡 = 0

Hence the boundary conditions: 𝑣 0 = 0 and 𝑣 𝐿 = 0

Case 1: 𝜆 = 0 𝑣 𝑥 = 𝐴𝑥 + 𝐵
𝑣 0 =0 𝑣 𝐿 =0 𝑣 𝑥 =0
𝐴 0 +𝐵 = 0 𝐴 𝐿 + 0 =0
𝐵=0 𝐴=0
𝑢 𝑥, 𝑡 = 0

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Use the boundary conditions: 𝑣 0 = 0 and 𝑣 𝐿 = 0

Case 2: 𝜆 > 0 𝑣 𝑥 = 𝐴𝑒 −𝜔𝑥 + 𝐵𝑒 𝜔𝑥

𝑣 0 =0 𝑣 𝐿 =0 𝑣 𝑥 =0
𝐴𝑒 0
+ 𝐵𝑒 0
=0 𝐴𝑒 −𝜔𝐿 + 𝐵𝑒 𝜔𝐿 = 0
𝐴+𝐵 =0 𝐴𝑒 −𝜔𝐿 − 𝐴𝑒 𝜔𝐿 = 0
𝑢 𝑥, 𝑡 = 0
−𝜔𝐿 𝜔𝐿
𝐵 = −𝐴 𝐴 𝑒 −𝑒 =0
𝐴=0

Use the boundary conditions: 𝑣 0 = 0 and 𝑣 𝐿 = 0

Case 3: 𝜆 < 0 𝑣 𝑥 = 𝐴𝑐𝑜𝑠 𝜔𝑥 + 𝐵𝑠𝑖𝑛 𝜔𝑥

𝑣 0 =0 𝑣 𝐿 =0
𝐴𝑐𝑜𝑠 0 + 𝐵𝑠𝑖𝑛 0 = 0 0 𝑐𝑜𝑠 𝜔𝐿 + 𝐵𝑠𝑖𝑛 𝜔𝐿 = 0
𝐴=0 𝐵𝑠𝑖𝑛 𝜔𝐿 = 0

𝐵 = 0 𝑜𝑟 𝑠𝑖𝑛 𝜔𝐿 = 0

𝑠𝑖𝑛 𝜔𝐿 = 0
𝜔𝐿 = 𝑠𝑖𝑛−1 0
𝜔𝐿 = 𝑛𝜋 𝑛 = 1,2,3, …
𝑛𝜋 𝑦 = 𝑠𝑖𝑛 𝑥
𝜔= 𝑛𝜋
𝐿 𝑣 𝑥 = 𝐵𝑠𝑖𝑛 𝑥
𝐿

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From: 𝑤′′ 𝑡 − 𝜆𝑐 2 𝑤 𝑡 = 0

𝑤′′ 𝑡 = 𝜆𝑐 2 𝑤 𝑡 𝜆 = −𝜔2
𝑤′′ 𝑡 = −𝜔2 𝑐 2 𝑤 𝑡
𝑚2 = −𝜔2 𝑐 2 𝑚 = ±𝑖𝜔𝑐
𝑤 𝑡 = 𝐶𝑐𝑜𝑠 𝜔𝑐𝑡 + 𝐷𝑠𝑖𝑛 𝜔𝑐𝑡

Since 𝑢 𝑥, 𝑡 = 𝑣 𝑥 𝑤 𝑡

𝑢 𝑥, 𝑡 = 𝐵𝑠𝑖𝑛 𝜔𝑥 𝐶𝑐𝑜𝑠 𝜔𝑐𝑡 + 𝐷𝑠𝑖𝑛 𝜔𝑐𝑡

𝑛𝜋 𝑛𝑐𝜋 𝑛𝑐𝜋
𝑢 𝑥, 𝑡 = 𝐵𝑠𝑖𝑛 𝑥 𝐶𝑐𝑜𝑠 𝑡 + 𝐷𝑠𝑖𝑛 𝑡
𝐿 𝐿 𝐿

With the boundary conditions:

𝑛𝜋 𝑛𝑐𝜋 𝑛𝑐𝜋
𝑢 𝑥, 𝑡 = 𝐵𝑠𝑖𝑛 𝑥 𝐶𝑐𝑜𝑠 𝑡 + 𝐷𝑠𝑖𝑛 𝑡
𝐿 𝐿 𝐿
∞

In general: 𝑢 𝑥, 𝑡 = ෍ 𝑢𝑛 𝑥, 𝑡
𝑛=1
∞
𝑛𝜋 𝑛𝑐𝜋 𝑛𝑐𝜋
𝑢 𝑥, 𝑡 = ෍ 𝑠𝑖𝑛 𝑥 𝑎𝑛 𝑐𝑜𝑠 𝑡 + 𝑏𝑛 𝑠𝑖𝑛 𝑡
𝐿 𝐿 𝐿
𝑛=1

Substitute the initial condition: 𝑢 𝑥, 0 = 𝑓 𝑥 , 0<𝑥<𝐿

∞
𝑛𝜋
𝑓 𝑥 = ෍ 𝑎𝑛 𝑠𝑖𝑛 𝑥
𝐿
𝑛=1

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Substitute the initial condition: 𝑢𝑡 𝑥, 0 = 𝑔 𝑥 , 0<𝑥<𝐿

∞
𝑛𝜋 𝑛𝑐𝜋 𝑛𝑐𝜋
𝑢 𝑥, 𝑡 = ෍ 𝑠𝑖𝑛 𝑥 𝑎𝑛 𝑐𝑜𝑠 𝑡 + 𝑏𝑛 𝑠𝑖𝑛 𝑡
𝐿 𝐿 𝐿
𝑛=1

∞
𝑛𝜋 𝑎𝑛 𝑛𝑐𝜋 𝑛𝑐𝜋 𝑏𝑛 𝑛𝑐𝜋 𝑛𝑐𝜋
𝑢𝑡 𝑥, 𝑡 = ෍ 𝑠𝑖𝑛 𝑥 − 𝑠𝑖𝑛 𝑡 + 𝑐𝑜𝑠 𝑡
𝐿 𝐿 𝐿 𝐿 𝐿
𝑛=1

∞
𝑛𝑐𝜋 𝑛𝜋
𝑔 𝑥 = ෍ 𝑏𝑛 𝑠𝑖𝑛 𝑥
𝐿 𝐿
𝑛=1

The values of 𝑎𝑛 and 𝑏𝑛 can be obtained using the Fourier

series technique.

Example 4
Solve the wave equation for 𝑐 = 4 and 𝐿 = 𝜋, if given that
𝑓 𝑥 = 𝑠𝑖𝑛 3𝑥 − 4𝑠𝑖𝑛 10𝑥
𝑔 𝑥 = 2𝑠𝑖𝑛 4𝑥 + 𝑠𝑖𝑛 6𝑥
∞
𝑛𝜋 𝑛𝑐𝜋 𝑛𝑐𝜋
𝑢 𝑥, 𝑡 = ෍ 𝑠𝑖𝑛 𝑥 𝑎𝑛 𝑐𝑜𝑠 𝑡 + 𝑏𝑛 𝑠𝑖𝑛 𝑡
𝐿 𝐿 𝐿
𝑛=1

∞
𝑛𝜋 𝑛4𝜋 𝑛4𝜋
𝑢 𝑥, 𝑡 = ෍ 𝑠𝑖𝑛 𝑥 𝑎𝑛 𝑐𝑜𝑠 𝑡 + 𝑏𝑛 𝑠𝑖𝑛 𝑡
𝜋 𝜋 𝜋
𝑛=1
∞

𝑢 𝑥, 𝑡 = ෍ 𝑠𝑖𝑛 𝑛𝑥 𝑎𝑛 𝑐𝑜𝑠 4𝑛𝑡 + 𝑏𝑛 𝑠𝑖𝑛 4𝑛𝑡

𝑛=1

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Example 4 … continue
Substitute the initial condition: 𝑢 𝑥, 0 = 𝑓 𝑥 , 0<𝑥<𝐿
𝑓 𝑥 = 𝑠𝑖𝑛 3𝑥 − 4𝑠𝑖𝑛 10𝑥
∞

𝑢 𝑥, 0 = ෍ 𝑠𝑖𝑛 𝑛𝑥 𝑎𝑛 𝑐𝑜𝑠 0 + 𝑏𝑛 𝑠𝑖𝑛 0

𝑛=1
∞

𝑠𝑖𝑛 3𝑥 − 4𝑠𝑖𝑛 10𝑥 = ෍ 𝑎𝑛 𝑠𝑖𝑛 𝑛𝑥

𝑛=1

𝑠𝑖𝑛 3𝑥 − 4𝑠𝑖𝑛 10𝑥 = 𝑎1 𝑠𝑖𝑛 𝑥 + 𝑎2 𝑠𝑖𝑛 2𝑥 + 𝑎3 𝑠𝑖𝑛 3𝑥

+ … + 𝑎10 𝑠𝑖𝑛 10𝑥 + …

Therefore: 𝑎3 = 1 , 𝑎10 = −4
The remaining 𝑎𝑛 are all zeros.

Example 4 … continue
Substitute the initial condition: 𝑢𝑡 𝑥, 0 = 𝑔 𝑥 , 0<𝑥<𝐿
𝑔 𝑥 = 2𝑠𝑖𝑛 4𝑥 + 𝑠𝑖𝑛 6𝑥
∞

𝑢 𝑥, 𝑡 = ෍ 𝑠𝑖𝑛 𝑛𝑥 𝑎𝑛 𝑐𝑜𝑠 4𝑛𝑡 + 𝑏𝑛 𝑠𝑖𝑛 4𝑛𝑡

𝑛=1
∞

𝑢𝑡 𝑥, 𝑡 = ෍ 𝑠𝑖𝑛 𝑛𝑥 −4𝑛𝑎𝑛 𝑠𝑖𝑛 4𝑛𝑡 + 4𝑛𝑏𝑛 𝑐𝑜𝑠 4𝑛𝑡

𝑛=1
∞

𝑢𝑡 𝑥, 0 = ෍ 𝑠𝑖𝑛 𝑛𝑥 −4𝑛𝑎𝑛 𝑠𝑖𝑛 0 + 4𝑛𝑏𝑛 𝑐𝑜𝑠 0

𝑛=1
∞

2𝑠𝑖𝑛 4𝑥 + 𝑠𝑖𝑛 6𝑥 = 4 ෍ 𝑏𝑛 𝑛𝑠𝑖𝑛 𝑛𝑥

𝑛=1

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Example 4 … continue
∞

2𝑠𝑖𝑛 4𝑥 + 𝑠𝑖𝑛 6𝑥 = 4 ෍ 𝑏𝑛 𝑛𝑠𝑖𝑛 𝑛𝑥

𝑛=1

2𝑠𝑖𝑛 4𝑥 + 𝑠𝑖𝑛 6𝑥 = 4ሺ𝑏1 𝑠𝑖𝑛 𝑥 + 2𝑏2 𝑠𝑖𝑛 2𝑥 + …

+ 4𝑏4 𝑠𝑖𝑛 4𝑥 + … + 6𝑏6 𝑠𝑖𝑛 6𝑥 + …

Therefore: 𝑏4 = 18 , 𝑏6 = 24
1

The remaining 𝑏𝑛 are all zeros.

Example 4 … continue
The solution:
∞

𝑢 𝑥, 𝑡 = ෍ 𝑠𝑖𝑛 𝑛𝑥 𝑎𝑛 𝑐𝑜𝑠 4𝑛𝑡 + 𝑏𝑛 𝑠𝑖𝑛 4𝑛𝑡

𝑛=1
∞

= ෍ 𝑎𝑛 𝑠𝑖𝑛 𝑛𝑥 𝑐𝑜𝑠 4𝑛𝑡 + 𝑏𝑛 𝑠𝑖𝑛 𝑛𝑥 𝑠𝑖𝑛 4𝑛𝑡

𝑛=1

= 𝑎3 𝑠𝑖𝑛 3𝑥 𝑐𝑜𝑠 12𝑡 + 𝑏4 𝑠𝑖𝑛 4𝑥 𝑠𝑖𝑛 16𝑡

+ 𝑎10 𝑠𝑖𝑛 10𝑥 𝑐𝑜𝑠 40𝑡 + 𝑏6 𝑠𝑖𝑛 6𝑥 𝑠𝑖𝑛 24𝑡

1
𝑢 𝑥, 𝑡 = 𝑠𝑖𝑛 3𝑥 𝑐𝑜𝑠 12𝑡 + 𝑠𝑖𝑛 4𝑥 𝑠𝑖𝑛 16𝑡
8
1
− 4𝑠𝑖𝑛 10𝑥 𝑐𝑜𝑠 40𝑡 + 𝑠𝑖𝑛 6𝑥 𝑠𝑖𝑛 24𝑡
24

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Heat equation: 𝛼𝑢𝑥𝑥 − 𝑢𝑡 = 0

Obtain a general solution to the heat equation:

1
𝑢𝑥𝑥 = 𝑢
𝛼 𝑡

Boundary conditions: 𝑢 0, 𝑡 = 𝑢 𝐿, 𝑡 = 0 , 𝑡>0

Initial condition: 𝑢 𝑥, 0 = 𝑓 𝑥 , 0<𝑥<𝐿

Suppose that the solution has the form:

𝑢 𝑥, 𝑡 = 𝑣 𝑥 𝑤 𝑡
Then:
𝑢𝑥 = 𝑣′ 𝑥 𝑤 𝑡 𝑢𝑥𝑥 = 𝑣′′ 𝑥 𝑤 𝑡
𝑢𝑡 = 𝑣 𝑥 𝑤′ 𝑡
1
Therefore, the wave equation: 𝑢𝑥𝑥 =
𝑢
𝛼 𝑡
1
𝑣′′ 𝑥 𝑤 𝑡 = 𝑣 𝑥 𝑤′ 𝑡
𝛼
𝑣′′ 𝑥 𝑤′ 𝑡 Separation
We can rewrite: = =𝜆
𝑣 𝑥 𝛼𝑤 𝑡 constant

Both sides are independent of x and t

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Solve the equations:

𝑣′′ 𝑥 𝑤′ 𝑡
=𝜆 =𝜆
𝑣 𝑥 𝛼𝑤 𝑡
𝑣′′ 𝑥 = 𝜆𝑣 𝑥 𝑤′ 𝑡
= 𝜆𝛼
𝑤 𝑡
𝑣′′ 𝑥 − 𝜆𝑣 𝑥 = 0

We have formed two ODEs

Let 𝜆 = 𝜔2

𝑣′′ 𝑥 − 𝜔2 𝑣 𝑥 = 0
Since we have a second order
differential equation, we consider
3 cases (𝜆=0 , 𝜆>0 , 𝜆<0)

Boundary conditions: 𝑢 0, 𝑡 = 𝑢 𝐿, 𝑡 = 0 , 𝑡>0

Where 𝑣 0 = 0 and 𝑣 𝐿 = 0

𝑣′′ 𝑥 − 𝜔2 𝑣 𝑥 = 0

Case 1: 𝜆 = 0 𝑣 𝑥 = 𝐴𝑥 + 𝐵

With boundary conditions: 𝑢 𝑥, 𝑡 = 0

Case 2: 𝜆 > 0 𝑣 𝑥 = 𝐴𝑒 −𝜔𝑥 + 𝐵𝑒 𝜔𝑥

With boundary conditions: 𝑢 𝑥, 𝑡 = 0

Case 3: 𝜆 < 0 𝑣 𝑥 = 𝐴𝑐𝑜𝑠 𝜔𝑥 + 𝐵𝑠𝑖𝑛 𝜔𝑥

𝑛𝜋
With boundary conditions: 𝑣 𝑥 = 𝐵𝑠𝑖𝑛 𝑥
𝐿

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𝑤′ 𝑡
From: = 𝜆𝛼 𝜆 = −𝜔2
𝑤 𝑡
𝑤′ 𝑡
න = න −𝜔2 𝛼
𝑤 𝑡
𝑙𝑛 𝑤 𝑡 = −𝜔2 𝛼𝑡 + 𝑐1
2 𝛼𝑡+𝑐
Exponentiate both sides: 𝑤 𝑡 = 𝑒 −𝜔 1

2 𝛼𝑡
𝑤 𝑡 = 𝑒 𝑐1 𝑒 −𝜔
2 𝛼𝑡
𝑤 𝑡 = 𝐶𝑒 −𝜔
Since 𝑢 𝑥, 𝑡 = 𝑣 𝑥 𝑤 𝑡
𝑛𝜋 2
𝑢 𝑥, 𝑡 = 𝐵𝑠𝑖𝑛 𝑥 𝐶𝑒 −𝜔 𝛼𝑡
𝐿
𝑛𝜋 𝑛𝜋 2
− 𝛼𝑡
𝑢 𝑥, 𝑡 = 𝐵𝑠𝑖𝑛 𝑥 𝐶𝑒 𝐿
𝐿

In general: 𝑢 𝑥, 𝑡 = ෍ 𝑢𝑛 𝑥, 𝑡
𝑛=1
∞
𝑛𝜋 2 𝑛𝜋
− 𝛼𝑡
𝑢 𝑥, 𝑡 = ෍ 𝐶𝑛 𝑒 𝐿 𝑠𝑖𝑛 𝑥
𝐿
𝑛=1

Substitute the initial condition: 𝑢 𝑥, 0 = 𝑓 𝑥 , 0<𝑥<𝐿

∞
𝑛𝜋
𝑢 𝑥, 0 = ෍ 𝐶𝑛 𝑒 0 𝑠𝑖𝑛 𝑥
𝐿
𝑛=1

∞
𝑛𝜋
𝑓 𝑥 = ෍ 𝐶𝑛 𝑠𝑖𝑛 𝑥
𝐿
𝑛=1

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